The October edition of the Academic Research Digest by Citi Global Quantitative Research contains an overview of four academic research papers. One of these, “On the Performance of Cyclically Adjusted Valuation Measures,” dated September 30, 2013, is a study by Wesley R. Gray, Drexel University, LeBow College of Business; Empiritrage, LLC, and Jack Vogel, Drexel University that compares different cyclically adjusted valuation measures.
Objective of the study
Are cyclically-adjusted valuation metrics effective in identifying high performing stocks? How does the increasingly popular CAPE Ratio, which evaluates inflation-adjusted earnings across a 10-year span, stack up against other cyclically adjusted valuation ratios?
The study attempts to compare the following using data from July 1, 1973 through December 31, 2012:
- 10-year average...
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